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The Options Symbology Initiative
If you are a U.S. equity or index options trader, you may have heard that there’s a big change coming in 2010 with the way the exchanges list options. As mandated by the Options Clearing Corporation (OPRA) and the regional options exchanges, it will be necessary to use a new symbol format in eSignal. We have scheduled this changeover to take place on February 1, 2010 throughout our eSignal network.
Current Symbol Formats
If you are a long-time eSignal user and an experienced options trader, you are likely aware that we have two symbol formats in place. The first format, called “short form”, follows the OPRA symbology and is based on an option root symbol and special month codes and strike price codes (e.g., MSQ KE). The second format, or “long form”, also uses an option root code, but instead of month and strike codes, this format favors spelling out these parts (e.g., MSQ NOV25C).
The major challenge with both of these methods is in the ongoing maintenance of the lists that manage the option roots and strike price codes. As companies inevitability merge, split or spin off new companies, new codes need to be added or removed from an option chain. This can even occur during the middle of a trading session, thus leading to further complications. Furthermore, the introduction of weekly contracts back in 2005 threw even more option roots into the mix.
It has come to the point where the options markets need a new standard, and the Options Symbology Initiative is prepared to handle this need.
The New Format
eSignal will be strictly using the full underlying symbol, a two-digit year code, the same combined put / call and month code and then the full strike price spelled out to the hundredths. In addition, there’s an optional regional ID code and an exchange day identifier, used for quarterly, weekly or any expiry other than the third Saturday. Technically speaking, here’s what the new format will look like:
O:<Underlying Symbol><space><TwoDigitYear><Put/Call and Expiration Month Code><StrikePrice>[<DayIdentifier>][=RegionalExchangeID]
Some actual examples of symbols are:
O:MSFT 09L25.00 (Microsoft December 2009 Call at 25.00)
O:IBM 10O100.00=B (IBM March 2010 Put at 100.00 from Boston Stock Exchange)
eSignal 10.6, Required Upgrade
In order for options traders to receive options data past January 22, 2010, they will need to download and install eSignal 10.6. This version is expected to be released in early December and will be a required upgrade for any users using options data from the Options Price Reporting Authority (OPRA).
Once released, the software can be immediately downloaded from our eSignal Download Page.
